124 citations · 194 across the 14 of their papers we have counts for
Showing 2011Show all
3 papers · 1 filter
math.ST2011★ 3 cited
Simultaneous Inference of Covariances
Han Xiao, Wei Biao Wu
We consider asymptotic distributions of maximum deviations of sample covariance matrices, a fundamental problem in high-dimensional inference of covariances. Under mild dependence…
math.ST2011★ 16 cited
Asymptotic Inference of Autocovariances of Stationary Processes
Han Xiao, Wei Biao Wu
The paper presents a systematic theory for asymptotic inference of autocovariances of stationary processes. We consider nonparametric tests for serial correlations based on the max…
math.ST2011★ 124 cited
Covariance matrix estimation for stationary time series
Han Xiao, Wei Biao Wu
We obtain a sharp convergence rate for banded covariance matrix estimates of stationary processes. A precise order of magnitude is derived for spectral radius of sample covariance…